There are a few options for how to do this. Perhaps the most user-friendly is to use the MyDSL browser. Open the DSL menu, go to MyDSL and click on the link to the browser. Once it is open, click on "Install Local" in the top right corner, then navigate to where you have the UCI file and select it. Once it has unpacked, a link for your program will likely appear below the one for the MyDSL browser.

Note that a UCI will not install itself permanently, and will be lost when you turn off your computer. Look in the DSL wiki for how to amke it load on startup.